What is the definition of non anticipative function and non anticipative Riemann sum approximation?
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I am reviewing my stochastic lectures, but I cannot understand the definition quiet well.
"Non-anticipative Riemann sum approximations stochastic integrals are Itô integrals of predictable step functions."
So what does this mean?
probability
asked Nov 18 at 14:43
Min Liu
11
add a comment |
up vote
0
down vote
favorite
I am reviewing my stochastic lectures, but I cannot understand the definition quiet well.
"Non-anticipative Riemann sum approximations stochastic integrals are Itô integrals of predictable step functions."
So what does this mean?
probability
asked Nov 18 at 14:43
Min Liu
11
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I am reviewing my stochastic lectures, but I cannot understand the definition quiet well.
"Non-anticipative Riemann sum approximations stochastic integrals are Itô integrals of predictable step functions."
So what does this mean?
probability
asked Nov 18 at 14:43
Min Liu
11
I am reviewing my stochastic lectures, but I cannot understand the definition quiet well.
"Non-anticipative Riemann sum approximations stochastic integrals are Itô integrals of predictable step functions."
So what does this mean?
probability
probability
asked Nov 18 at 14:43
Min Liu
11
asked Nov 18 at 14:43
Min Liu
11
asked Nov 18 at 14:43
Min Liu
11
asked Nov 18 at 14:43
Min Liu
11
asked Nov 18 at 14:43
Min Liu
11
11
add a comment |
add a comment |
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